NOTE: The MVN macro is obsolete. Beginning in SAS 9.2, use the RANDNORMAL function in SAS/IML software or PROC SIMNORMAL in SAS/STAT software to generate multivariate normal data.
PURPOSE:
The %MVN macro generates multivariate normal data using the Cholesky root of the variance-covariance matrix. Bivariate normal data can be generated using the DATA step.
B. Gottschall, L. Eeckhout, and M. Jahre. MICRO-54: 54th Annual IEEE/ACM International Symposium on Microarchitecture, page 15--27. ACM, (Oct 17, 2021)
T. Licht, L. Dohmen, P. Schmitz, L. Schmidt, and H. Luczak. Proceedings of the European Simulation and Modelling Conference (Paris 2004), page 188-195 *** Best Paper Award ***. Ghent, EUROSIS-ETI, (2004)